Correlation
The correlation between AMFAX and SPY is 0.19, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
AMFAX vs. SPY
Compare and contrast key facts about AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and SPDR S&P 500 ETF (SPY).
AMFAX is managed by Blackrock. It was launched on Jul 30, 2010. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AMFAX or SPY.
Performance
AMFAX vs. SPY - Performance Comparison
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Key characteristics
AMFAX:
-2.04
SPY:
0.68
AMFAX:
-2.74
SPY:
1.11
AMFAX:
0.64
SPY:
1.16
AMFAX:
-0.78
SPY:
0.75
AMFAX:
-1.86
SPY:
2.86
AMFAX:
15.36%
SPY:
4.93%
AMFAX:
13.51%
SPY:
20.44%
AMFAX:
-36.84%
SPY:
-55.19%
AMFAX:
-35.39%
SPY:
-3.01%
Returns By Period
In the year-to-date period, AMFAX achieves a -17.21% return, which is significantly lower than SPY's 1.44% return. Over the past 10 years, AMFAX has underperformed SPY with an annualized return of 0.37%, while SPY has yielded a comparatively higher 12.88% annualized return.
AMFAX
-17.21%
-0.42%
-17.41%
-27.39%
-9.81%
2.27%
0.37%
SPY
1.44%
4.58%
-1.18%
13.82%
14.68%
15.35%
12.88%
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AMFAX vs. SPY - Expense Ratio Comparison
AMFAX has a 1.72% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
AMFAX vs. SPY — Risk-Adjusted Performance Rank
AMFAX
SPY
AMFAX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and SPDR S&P 500 ETF (SPY). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
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Dividends
AMFAX vs. SPY - Dividend Comparison
AMFAX's dividend yield for the trailing twelve months is around 1.54%, more than SPY's 1.21% yield.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 1.54% | 1.28% | 0.30% | 32.70% | 5.74% | 3.14% | 6.12% | 1.32% | 0.00% | 0.00% | 4.92% | 13.43% |
SPY SPDR S&P 500 ETF | 1.21% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% |
Drawdowns
AMFAX vs. SPY - Drawdown Comparison
The maximum AMFAX drawdown since its inception was -36.84%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for AMFAX and SPY.
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Volatility
AMFAX vs. SPY - Volatility Comparison
The current volatility for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) is 2.71%, while SPDR S&P 500 ETF (SPY) has a volatility of 4.85%. This indicates that AMFAX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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